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Add StopLimitATRMultiplier as a configurable parameter.

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Code cleanup.
This commit is contained in:
Sean
2025-02-22 22:15:37 -05:00
parent eced6c0918
commit e50ac03b33
3 changed files with 22 additions and 6 deletions
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10
MarketDataLib/Generator/MGSHMomentum/MGSHActivePositions.cs
View File

@@ -11,6 +11,16 @@ namespace MarketData.Generator.MGSHMomentum
{
}
public int GetMaxSlotNumber()
{
List<int> keys = new List<int>(Keys);
if(0 == keys.Count)
{
return -1; // if there are no slots then return -1
}
return keys.Max();
}
public int GetCount()
{
int positionCount=0;

9
MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs
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@@ -229,7 +229,7 @@ namespace MarketData.Generator.MGSHMomentum
// **************************************************************** S T A T I S T I C S ******************************************************************
// ******************************************************************************************************************************************************
// Calcualtes the expectation for the model ( Percent of Winning Trades * Average Gain)/(Percent Losing Trades * Average Loss)
// Calculates the expectation for the model ( Percent of Winning Trades * Average Gain)/(Percent Losing Trades * Average Loss)
// The expectation should be above zero
// Using the AllPositions collection ignored open positions and active hedge positions
public static ModelStatistics GetModelStatistics(MGSHSessionParams sessionParams)
@@ -298,6 +298,7 @@ namespace MarketData.Generator.MGSHMomentum
DateTime minDate=combinedPositions.Min(x => x.PurchaseDate);
DateTime maxDate=PricingDA.GetLatestDate();
double prevGainLoss=double.NaN;
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
foreach(DateTime currentDate in historicalDates)
@@ -853,8 +854,6 @@ namespace MarketData.Generator.MGSHMomentum
foreach(MGSHPosition position in positions)
{
Price price=GBPriceCache.GetInstance().GetPrice(position.Symbol,analysisDate);
// Incorporate Pricing Exceptions
if(null==price)
{
int exceptionCount=AddPricingException(position.Symbol);
@@ -872,14 +871,12 @@ namespace MarketData.Generator.MGSHMomentum
else MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[UpdateStopLimitsForActivePositions] Cannot determine price for {0} on {1}",position.Symbol,analysisDate.ToShortDateString()));
continue;
}
// This is an older position for which we never set an initial stop. We will not adjust these
if (double.IsNaN(position.R) || double.IsNaN(position.TrailingStopLimit) || double.IsNaN(position.InitialStopLimit))
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("[UpdateStopLimitsForActivePositions] Position {0} on {1} is legacy will not adjust stop limit.", position.Symbol, analysisDate.ToShortDateString()));
continue;
}
position.CurrentPrice = price.Close;
RemovePricingException(position.Symbol);
if (price.Low < position.TrailingStopLimit && !position.PurchaseDate.Equals(analysisDate))
@@ -1043,7 +1040,7 @@ namespace MarketData.Generator.MGSHMomentum
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("GetStopLimitWithScalingAverageTrueRange: Symbol:{0}",position.Symbol));
double volatility=double.NaN;
volatility=VolatilityGenerator.CalculateVolatility(position.Symbol,tradeDate,Configuration.StopLimitScalingVolatilityDays);
volatility=VolatilityGenerator.CalculateVolatility(position.Symbol,tradeDate,Configuration.StopLimitScalingVolatilityDays, Configuration.StopLimitATRMultiplier);
if(double.IsNaN(volatility))
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Unable to calculate AverageTrueRange for {0} on {1}. Using non-scaled stop limit.",position.Symbol,tradeDate.ToShortDateString()));

9
MarketDataLib/Generator/MGSHMomentum/MGSHConfiguration.cs
View File

@@ -22,6 +22,7 @@ namespace MarketData.Generator.MGSHMomentum
public int MinDaysBetweenStopAdjustments{get;set;}
public int MinDaysBetweenInitialStopAdjustment{get;set;}
public int StopLimitPriceTrendDays{get;set;}
public double StopLimitATRMultiplier{get;set;}
// Hedging Strategy
public bool UseHedging{get;set;}
@@ -121,6 +122,7 @@ namespace MarketData.Generator.MGSHMomentum
MinDaysBetweenInitialStopAdjustment=30; // 30 Number of days that must elapse before attempting to adjust the stop limit. This is the best setting
MinDaysBetweenStopAdjustments=30; // 30 Number of days between stop adjustments. This is after the initial stop is set... of course
StopLimitPriceTrendDays=20; // The number of days for which we want to see upward trend before adjusting a subsequent stop limit
StopLimitATRMultiplier=3.00; // the ATR multiplier for setting stop limits on regular positions
// Hedging Strategy
UseHedging=false; // Flag to control the use of hedging strategy
@@ -209,6 +211,7 @@ namespace MarketData.Generator.MGSHMomentum
nvpCollection.Add(new NVP("MinDaysBetweenInitialStopAdjustment",MinDaysBetweenInitialStopAdjustment.ToString()));
nvpCollection.Add(new NVP("MinDaysBetweenStopAdjustments",MinDaysBetweenStopAdjustments.ToString()));
nvpCollection.Add(new NVP("StopLimitPriceTrendDays",StopLimitPriceTrendDays.ToString()));
nvpCollection.Add(new NVP("StopLimitATRMultiplier",StopLimitATRMultiplier.ToString()));
nvpCollection.Add(new NVP("UseHedging",UseHedging.ToString()));
nvpCollection.Add(new NVP("HedgeBenchmarkSymbol",HedgeBenchmarkSymbol.ToString()));
@@ -279,6 +282,10 @@ namespace MarketData.Generator.MGSHMomentum
mgConfiguration.MinDaysBetweenInitialStopAdjustment = nvpDictionary["MinDaysBetweenInitialStopAdjustment"].Get<int>();
mgConfiguration.MinDaysBetweenStopAdjustments = nvpDictionary["MinDaysBetweenStopAdjustments"].Get<int>();
mgConfiguration.StopLimitPriceTrendDays = nvpDictionary["StopLimitPriceTrendDays"].Get<int>();
if(nvpDictionary.ContainsKey("StopLimitATRMultiplier"))
{
mgConfiguration.StopLimitATRMultiplier = nvpDictionary["StopLimitATRMultiplier"].Get<double>();
}
}
else
{
@@ -361,9 +368,11 @@ namespace MarketData.Generator.MGSHMomentum
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseStopLimits,{0}",UseStopLimits));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("StopLimitRiskPercentDecimal,{0}",StopLimitRiskPercentDecimal));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("StopLimitScalingVolatilityDays,{0}",StopLimitScalingVolatilityDays));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MinDaysBetweenInitialStopAdjustment,{0}",MinDaysBetweenInitialStopAdjustment));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("MinDaysBetweenStopAdjustments,{0}",MinDaysBetweenStopAdjustments));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("StopLimitPriceTrendDays,{0}",StopLimitPriceTrendDays));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("StopLimitATRMultiplier,{0}",StopLimitATRMultiplier));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("UseHedging,{0}",UseHedging));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("HedgeBenchmarkSymbol,{0}",HedgeBenchmarkSymbol));